And as he prepares to return for the first time as the manager of a rival club, Megson insists he has no regrets about his time in the West Midlands but has warned his players they will be walking into a cauldron of noise as Tony Mowbray's side stare relegation in the face.
The Baggies have no win in nine games in all competitions and are six points adrift of safety at the bottom of the Premier League but Megson believes his squad need to be more concerned with how hostile the home support will be and to not let the crowd affect them like it did in the 2-0 loss to Stoke at the Britannia Stadium.
He said: "Our players are going to have to cope with a similar sort of atmosphere - which they didn't cope with - when they went to the Britannia against Stoke.
"We haven't said so but the things coming out of West Brom seem to be saying that 'this here is our season', in terms that the next two games are against ourselves and Stoke.
"We know we will have to cope with the atmosphere. It will be a shock for my players to hear it but that will be the atmosphere and that is what they will have to cope with.
"It is a great football club and like every other football club it has problems but most of them did not include the football side of things.
"The biggest thing West Brom had going for it was the support it had - it is incredible and when I look back on how the club was supported it was quite humbling."
Megson also admitted he had "no idea at all" about how many points his side still need to pick up between now and the end of the season in order to safeguard their Premier League status.
Bolton have 33 points at present - seven more than at the identical stage during last year's narrow escape from relegation - but Megson will not get carried away by announcing how many points he still wants to pick up this term, believing that it is simply impossible to tell how many of their last nine games they need to win.
He added: "It makes me smile when people say it is going to take so many wins or so many points because at the end of the season it is all entirely different.
"You look at people's result so far and they might be averaging a point a game or whatever it might be but at the end of the season you might be playing someone trying to get into the Champions League and on other occasions you might be playing a team with nothing to play for so all the experts and analysts who think it might be a certain amount of points won't know.
"I have no idea, no idea at all. And nobody else has either."